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hal.structure.identifier
dc.contributor.authorAno Sujithan, Kuhanathan*
hal.structure.identifier
hal.structure.identifierBanque de France
dc.contributor.authorAvouyi-Dovi, Sanvi*
hal.structure.identifier
dc.contributor.authorKoliai, Lyes*
dc.date.accessioned2013-09-26T13:08:41Z
dc.date.available2013-09-26T13:08:41Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11718
dc.language.isoenen
dc.subjectMarkov - switchingen
dc.subjectCommodity pricesen
dc.subjectVAR modelsen
dc.subjectMonetary Policyen
dc.subject.ddc339en
dc.subject.classificationjelE.E4.E43en
dc.subject.classificationjelE.E5.E52en
dc.subject.classificationjelE.E5.E58en
dc.titleDoes Monetary Policy Respond to Commodity Price Shocks?en
dc.typeCommunication / Conférence
dc.description.abstractenCommodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rates for a set of heterogeneous countries (the U.S., the Euro area, Brazil, India, Russia and South Africa) over the period from January 1999 to August 2012. Besides, the VAR models reveal that short-term interest rates respond to commodity volatility shocks whatever the country. Moreover, the linkage between commodity markets and monetary policy instruments is stronger since the recent financial crisis.en
dc.identifier.citationpages52en
dc.subject.ddclabelMacroéconomieen
dc.relation.conftitle62nd annual meeting of the AFSEen
dc.relation.confdate2013-06
dc.relation.confcityMarseilleen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01511915*
hal.version1*
hal.update.actionupdateMetadata*
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hal.author.functionaut
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